The securitisation process in the OECD countries. Summary of
responses to the OECD-WPFS questionnaire and discussion on the
follow-up
Miguel Ángel Menéndez
Beatriz Sanz
WORKING PARTY ON FINANCIAL STATISTICS
OECD
Paris, 2 - 3 October 2007
STATISTICS DEPARTMENT
The securitisation process in the OECD
countries
Contents
1. The launch of the questionnaire
2. Structure of the questionnaire
3. Results of the survey
4. Discussion on the follow-up
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1. The launch of the questionnaire
• The complexity of the process of asset securitisation has been
increasing in recent years
• The emergence of financial intermediaries specialising in
securitisation (SPEs)
• Impact on financial, credit and monetary analysis
• Lack of systematic information
At its 2006 meeting the WPFS approved the launch of
a questionnaire on securitisation to identify the processes
carried out in OECD countries
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2. Structure of the questionnaire
• Questions regarding the existence of securitisation processes
• Questions related to the type of securitisation carried out through
SPEs
• Questions on the sources of information available on the
securitisation carried out through SPEs
• Questions on the quantitative aspects of securitisation
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3. Results of the survey
a. Results regarding the existence, organisation and extent of
securitisation processes
b. Availability of data on securitisation for the purpose of financial
accounts
c. Treatement in national accounts of securitisation
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3.a Results regarding the existence,
organisation and extent of securitisation
processes
Responses to the questionnaire
Countries that responded
Returning the
questionnaire
Answering that they have
no securitisation
processes
Australia, Austria, Belgium, Hungary, Czech Republic
Canada, Denmark,
Germany, Finland, France,
Greece, Ireland, Italy,
Korea, Netherlands, New
Zealand, Norway, Poland,
Portugal, Slovak Republic,
Spain, Switzerland, Turkey,
United Kingdom, United
States
STATISTICS DEPARTMENT
Not currently having
securitisation through
SPEs
Czech Republic, Denmark,
Hungary, Norway, Slovak
Republic, Turkey
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3.a Results regarding the existence,
organization and extent of securitisation
processes
Securitisation processes in the OECD countries
Securitisation through SPEs
Resident SPEs
Australia, Austria,
Belgium, Canada,
France, Germany,
Ireland, Italy, Korea,
Netherlands, New
Zealand, Poland,
Portugal, Spain,
Switzerland, United
Kingdom, United
States
STATISTICS DEPARTMENT
Only nonresident
SPEs
Large and
growing amount
of securitisation
Limited
securitisation
Finland,
Greece
Australia,
Canada,
Netherlands,
Portugal, Spain,
United States
Austria
No experience of
securitisation
procesess
Czech Republic,
Hungary
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3.a Results regarding the existence,
organization and extent of securitisation
processes
Assets of SPEs / assets of financial corporations
Percentage
STATISTICS DEPARTMENT
United
States
Switzerland
Spain
Portugal
Netherlands
Korea
Italy
France
Canada
Belgium
Australia
14
12
10
8
6
4
2
0
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3.a Results regarding the existence,
organization and extent of securitisation
processes
Outstanding securities issued by SPEs / outstanding securities
issued by financial corporations
Percentage
70
60
50
40
30
20
10
STATISTICS DEPARTMENT
United
States
Switzerland
Spain
Portugal
Netherlands
Korea
Italy
Germany
France
Canada
Australia
0
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3.a Results regarding the existence,
organization and extent of securitisation
processes
Three main questions:
• What procedures are followed to carry out the securitisation
through SPEs?
• Does the government act as originator?
• What kind of assets can be securitised?
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3.a Results regarding the existence, organization
and extent of securitisation processes
What procedures are followed to carry out
securitisation through SPEs?
Traditional (conventional)
securitisation
Derecognising the assets: “true sales”
(risks and rewards are completely
transferred: the majority of countries
use “true sales”)
Without derecognising the assets
(risks and rewards not completely
transferred, in accordance with IAS rules:
some countries follow these rules
for individual balance sheets)
Synthetic securitisation
(transferring the risks through a
financial derivative)
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Without derecognising the assets
(this practice is currently marginal)
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3.a Results regarding the existence,
organization and extent of securitisation
processes
Does the government act as originator?
- Eight countries responded that the government acts as
originator (Austria, Belgium, Finland, France, Germany, Italy,
Portugal and United States)
- Government securitisations have led to detailed EU guidelines
in the framework of the Excessive Deficit Procedure
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3.a Results regarding the existence,
organization and extent of securitisation
processes
What type of assets can be securitised?
- All countries reported that any type of assets can be securitised
- The majority of assets are mortgages and consumer loans.
Future income or contingent assets could be also securitised
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3.b Availability of data on securitisation for the
purpose of financial accounts
There are three different sources to obtain information on
securitisation process:
1. Directly from the SPEs, depending on:
– The possibilities of identifying them
– Whether their activity is regulated
– Whether their activity is supervised
2. Directly from the originators, depending on:
– The possibilities of identifying them
– Their role as servicer of the securitised assets
3. Other indirect sources
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3.b Availability of data on securitisation for the
purpose of financial accounts
Data sources on securitisation processes
Identification of SPEs
Registers of
supervisors
Through
the
originators
Belgium
Italy
Korea
Poland
Portugal
Spain
United
Kingdom
STATISTICS DEPARTMENT
Credit
surveys or
rating
agencies
Australia
Canada
New
Zealand
Quantitative data
Directly from SPEs
SPE
surveys
Canada
Systematic
but not
standarised
Some SPEs’
data
standarised
France
Spain
United
Kingdom
United
States
Directly from
originators
Belgium
Finland
France
Greece
Ireland
New Zealand
Poland
Spain
United States
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3.b Availability of data on securitisation for the
purpose of financial accounts
Other indirect sources

Issue prospectuses and presale reports

Rating agencies

Commercial data providers

Management companies

Investor reports

Monetary data and analysis of movements in assets of Monetary Financial Institutions

Balance of payments

Centralised Securities Database of the European System of Central Banks (for some European
Union countries)
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3.b Availability of data on securitisation for the
purpose of financial accounts
The difficulties of using the sources for
the production of the financial accounts

There are not always systematic and standarised sources

Not many countries are able to construct complete (or even partial)
financial accounts of securitisation processes

The main problem is including the details of assets and liabilities by
broad category and whom-to-whom information (i.e. counterpart sectors)
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3.c Treatment in national accounts of
securitisation processes
Two main items regarding the treatment in national accounts of
securitisation processes:
1. The classification of SPEs in the financial accounts
2. The possibilities of “double counting” when the assets are not
derecognised in the balance sheet of the originator
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3.c Treatment in national accounts of
securitisation processes
The classification of SPEs in the financial accounts
 The majority of countries report that SPEs are classified in S.123 Other
financial intermediaries
 United Kingdom advises that this is only the case when they are
autonomous
 United States notes that some SPEs are automatically consolidated with
the sponsor in the business accounts of the sponsor when the latter
“retains interest in the SPE”
 European Union guidelines for securitisation originated by government
establish that SPEs should be consolidated with the originator if they do
not have autonomy of decision regarding the management and disposal
of the transferred assets
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3.c Treatment in national accounts of
securitisation processes
The possibilities of “double counting”
Countries consider that this is essentially not a problem
– In some countries no derecognition is marginal
– In other countries (Netherlands and Spain) when no derecognition occurs
the counterpart of the securitisation is a deposit or a special covered
bond, which is not included either in total security issues or, on the assets
side, in the loans of SPEs
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4. Discussion on the follow-up
The follow-up will depend on the results of the discussion of the
questions relating to the main aspects addressed in the questionnaire:
Is securitisation in which, in accordance with IASs, the assets are
not derecognized common in the OECD countries? If so, in which
item of the liabilities of the originator is the liability generated by
the raising of funds classified?
Does the WPFS recommend that, because of the increasing
importance of securitisation, member countries should estimate a
complete aggregate balance sheet, including counterpart
information, for securitisation SPEs, thus making this sector an
additional informal sub-sector of S.123?
Does the WPFS recommend that more detailed guidelines should
be drafted for the recording of securitisation transactions, as part
of a draft implementation document of SNA? If yes, are there
volunteer countries to propose a first draft?
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THANK YOU FOR YOUR ATTENTION
STATISTICS DEPARTMENT